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Illusive Persistence in German Unemployment

Tschernig, Rolf J.V.; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1992

persistence. This view is questioned in the paper using German data on unemployment. A new class of time-series models, the …

Persistent link: https://www.econbiz.de/10005666959

Persistence in the cryptocurrency market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Research in international business and finance 46 (2018), pp. 141-148

Persistent link: https://www.econbiz.de/10011983590

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147

Persistent link: https://www.econbiz.de/10012006763

Long memory in the Ukrainian stock market and financial crises

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance 40 (2016) 2, pp. 235-257

Persistent link: https://www.econbiz.de/10011658783

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - In: Journal of Banking & Finance 41 (2014) C, pp. 109-118

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy … between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after … evidence for positive excess kurtosis and GARCH-effects when persistence increases. …

Persistent link: https://www.econbiz.de/10010744377

Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the World Economy 30 (2014) C, pp. 10-24

This paper examines the conditional time-varying currency betas from five developed and six emerging financial markets with contagion and spillover effects. We employ a trivariate asymmetric BEKK-type GARCH-in-Mean (MGARCH-M) approach to estimate the time-varying conditional variance and...

Persistent link: https://www.econbiz.de/10010906891

Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries

Gil-Alana, Luis - In: Topics in Macroeconomics 3 (2003) 1, pp. 1139-1139

The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for describing the short-run components of the series, we use an approach due to Bloomfield (1973)....

Persistent link: https://www.econbiz.de/10005579795

Bandwidth selection by cross-validation for forecasting long memory financial time series

Baillie, Richard T.; Kapetanios, George; Papailias, Fotis - In: Journal of Empirical Finance 29 (2014) C, pp. 129-143

The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of...

Persistent link: https://www.econbiz.de/10011116278

Impulse responses of antipersistent processes

Hassler, Uwe - In: Economics Letters 116 (2012) 3, pp. 454-456

The behavior of impulse response coefficients as persistence measures is discussed under fractional integration …

Persistent link: https://www.econbiz.de/10010594207

Persistence and cycles in historical oil price data

Gil-Alana, Luis A.; Gupta, Rangan - In: Energy Economics 45 (2014) C, pp. 511-516

This paper deals with the analysis of two observed features in historical oil price data; in particular, persistence …

Persistent link: https://www.econbiz.de/10010939454

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